Abstract: Under the assumption that insurance companies are risk neutral,and using the theory of backward stochastic differential equation,the insurance pricing problem is studied in the framework of investment theory.At first,the linear forward-backward stochastic differential equation for insurance pricing is established.Then the insurance pricing formula based on the investment theory is obtained on the basis of the explicit solution of a special class of linear backward stochastic differential equation.Finally,an example is provided.

Key words: insurance pricing, stochastic differential equation, forward-backward stochastic differential equation, Ito differential formula